Is torturing an insect less immoral than torturing a non-human primate?

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Well, both are immoral and indications of bad character traits (and may 'harden' one for worse acts), assuming that the torturing is gratuitous, as the word suggests. But we have good reasons to think that insects do not experience pain and suffering nearly as much as monkeys and apes (e.g., their nervous systems are not as complex). So, if one measure of the immorality or badness of an act is the amount of unnecessary pain and suffering it produces--and that seems plausible on any moral theory--then yes, torturing an insect would be less immoral than torturing a non-human primate. Please do neither!

I take it that being tortured implies the experience of pain or other suffering (physical or psychological) or, at the very minimum, the frustration of the victim's desires. Now, insect brains are surprisingly complex: according to Wikipedia, there are 100,000 neurons in the brain of a fruit fly, and as many as 10 million synapses; no doubt there are many more in mantids. But are insect brains complex enough that insects can experience pain, suffering, or frustration? I don't think anyone knows. But the answer may well be no, in which case your question would rest on a false presupposition.

But suppose an insect can be tortured. If a case of torture is otherwise gratuitous, then its degree of immorality probably varies with the suffering that it causes. It seems highly likely that at least some nonhuman primates can suffer to a greater degree than insects can, making it worse to torture them, all else being equal.